Friday, June 12, 2020

Stocks Reversing Slightly Lower into Final Hour on Coronavirus 2nd Wave Fears, Biden Presidency Odds Surge, Global Recession Worries, Retail/Healthcare Sector Weakness

 Broad Equity Market Tone:
  • Advance/Decline Line: About Even
  • Sector Performance: Mixed
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 43.3 +6.1%
  • Euro/Yen Carry Return Index 125.07 -.11%
  • Emerging Markets Currency Volatility(VXY) 10.0 +2.35%
  • S&P 500 Implied Correlation 82.0 +6.2%
  • ISE Sentiment Index 75.0 -11.0 points
  • Total Put/Call .94 -7.84%
  • NYSE Arms .71 -75.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 81.14 +.75%
  • US Energy High-Yield OAS 958.97 +1.0%
  • European Financial Sector CDS Index 81.67 -1.53%
  • Italian/German 10Y Yld Spread 188.75 -3.75 basis points
  • Asia Ex-Japan Investment Grade CDS Index 90.99 +3.12%
  • Emerging Market CDS Index 271.50 -1.45%
  • iBoxx Offshore RMB China Corporate High Yield Index 169.06 +.14%
  • 2-Year Swap Spread 7.75 +.5 basis point
  • TED Spread 15.25 +.75 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -15.75-1.25 basis points
  • MBS  5/10 Treasury Spread  105.0 -1.0 basis point
  • IHS Markit CMBX BBB- 6 72.0 -1.25 basis points
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 60.83 -.30%
  • 3-Month T-Bill Yield .16% -1.0 basis point
  • Yield Curve 50.25 -3.25 basis points
  • China Iron Ore Spot 102.15 USD/Metric Tonne +1.13%
  • Citi US Economic Surprise Index 82.20 +7.5 points
  • Citi Eurozone Economic Surprise Index -215.90 +4.3 points
  • Citi Emerging Markets Economic Surprise Index 20.9 -5.9 points
  • 10-Year TIPS Spread 1.19 -2.0 basis points
  • 100.0% chance of no change at Sept. 16 meeting, 100.0% chance of no change at Nov. 5th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -110 open in Japan 
  • China A50 Futures: Indicating -141 open in China
  • DAX Futures: Indicating -73 open in Germany
Portfolio:
  • Slightly Higher: On gains in my medical/tech sector longs and index hedges
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 25% Net Long

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